I reckon most women's responses would be:
Hot guy -> delighted
Average guy -> flattered
Unattractive guy -> creeped out.
Obviously this is a bit shallow, but chatting someone up on sight alone is also a bit shallow, and besides, I'm pretty sure it would be the same sort of scenario if the genders were reversed.
EDIT: Of course it should be noted that different women will have different ideas of what "hot", "average" and "unattractive" mean.
In terms of whether they expect to be chatted up, I think generally the answer is no. Especially in the gym. My initial thought was horror at the idea of someone talking to me when I'm all red and sweaty, but then I really thought about it, and I still think my first analysis was correct. Although a woman who is feeling unattractive is probably less likely to realise she's being chatted up.